This paper investigates the stock market performance persistence of individual investors. The study is based on unique data that allows us to observe month-end stock market portfolios of all individual investors over an eleven year period.

We find that a substantial number of investors exhibit economically and statistically significant performance persistence. This is robust to how we measure past performance, how often investors trade and whether investors are small or large. Unlike the evidence from mutual and pension funds, the persistence in performance we uncover is not concentrated in investors with poor prior performance. We also show that forming a portfolio that is long in stocks previously favored by top performing investors earns a substantial risk adjusted return in the future.

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